The Research Of Factors Contributing To A+H Shares' Price Difference And The Price Change After Shanghai-Hong Kong Stock Connect Program

In this article, the writer talks a lot about A+H shares. A+H shares, by definition, mean those stocks whose corresponding companies lie in China, but listed in both China Stock Exchange and Hong Kong Stock Exchange. The investors in different markets are different.If the stocks' prices follow the “Same stock, same price” rule, the stocks at different markets will share the same price. The same stock that has different prices at different markets will have the opportunity to arbitrage if there is no friction. But the fact is not like that. Since the beginning of AH stocks, the price differences have been there till now. That means the condition of arbitrage is not satisfied.In view of this situation, the writer analyzed the price difference through comparing the market value, the foundation of financial report, the liquidity of the stocks, the dividends and so on. The writer sorted all those factors in to two categories to better understand the factors. Consider in reality, all those factors come together to affect the price difference, the writer take the multi-factor model to analyze, explaining what factors really affects and how they affect.And recently, we have Shanghai-Hong Kong stock connected program. This program may have some impact on the valuation of AH stocks. The writer analyzed which factors may be influenced after the program comes into effect. This can be meaningful in forecasting the price difference in the future.